Quantitative Analyst
: Job Details :

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location. Duties: Develop new pricing models and extend existing pricing models with new features in C library using stochastic calculus and numerical techniques for valuation (including Monte Carlo Methods and Partial Differential Equation solvers) for Corporate Equity Derivative products. Enhance Share Buyback program modelling by implementing bespoke features in the C library for client needs (such as forward starting, lookback, knockout and over hedges). Implement a flexible framework in C library to represent margin loans inbooking system, including extending framework to accommodate for new features and scripting margin loan trades to monitor triggers and automatically perform triggered events. Develop pricing models for contractual bookings (including tranches, dividend protected and borrow cost protected products). Conduct extensive tests for model analysis and write model documentations for m...Quantitative, Analyst, Program Analyst, Technology, Banking, Financial